Research On Quantitative CTA Strategies Based On Term Structure And Trend Following

With the rapid development of our modern computer technology and the continous innovation of computer algorithms since the 21st century,financial engineering and algo trading have tremendous changes in the past decade.Especially in the field of finacial engineering,through the analysis of massive historical data,portfolio managers can create different types of quantitative strategies with the help of computer programme.Because of today’s complex investment environment,it’s almost impossible for fund managers to gain satisfactory results for their investors by only using a single strategy.More and more funds change their strategies quantitative and fund managers have tried to combine several strategies in just one product to achive super alphas for their customers.In China,we can see an obvious trend that quantitative funds become more popular and especially the scale of CTA funds expanded very quickly.For CTA funds,fund managers are allowed to short assets and most of the time they need trade in different market in different countries at 24 hours per day,so they urgent need quantitative methods to help them trade automatically at night and trade a large number of assets at the same time.In this way,traders can catch more opportunities to gain profits and control the risk of CTA funds more efficiently.Traditional methods of futures trading are mainly divided into two types:fundamental analysis and technical analysis.This article selects term structure factor in fundamental analysis and time series momentum factor in technical analysis.Based on the previous studies of classic strategies,this article slightly improves on the single factor strategies:time series momentum strategy and term structure strategies.It constructs a trend following strategy and Roll-Yield strategy respectively.Then this paper builds a new equal-weighted quantitative strategy combing these two strategies mentioned above and finally construct a multifactor strategy including term structure factor and time series momentum factor.All these strategies are tested in China’s commodity futures market from 2010 to 2019,using one-minute data of 34 future contracts at a quantitative trading platform.